Feedback on August 2007 consultation on implementing Pillar 2 of Basel II
|
|
- Nigel Carroll
- 6 years ago
- Views:
Transcription
1 Feedback on August 2007 consultation on implementing Pillar 2 of Basel II Introduction 1 We wrote to locally-incorporated banks in August setting out how we proposed to implement Pillar 2 of the Basel II capital adequacy framework, which covers capital for other material risk and overall capital adequacy. There were two key elements to our proposals, which would apply to all New Zealand-incorporated banks. The first was the need for a bank to have internal processes to enable it to ensure that it has adequate capital against all material risks. The second was the requirement for a bank, as part of its total regulatory capital requirement, to hold a self-determined amount of capital against other material risks, ie those not captured or only partially captured under Pillar 1. 2 In the feedback we received, the main concerns centred around this second element. Other comments largely sought clarification on points of detail of what the Reserve Bank expects of a bank s ICAAP (Internal Capital Adequacy Assessment Process). There were also questions about the way we intend to review banks ICAAPs. More detail on this feedback and our responses to it are set out below. Revised approach 3 In the light of the comments received, we have adapted our approach to Pillar 2 as follows. 4 Banks will be required to have in place an ICAAP to ensure that they have adequate capital against all material risks, and as part of that they will be expected to determine the appropriate level of capital to hold against other material risks, ie those which are not captured by the Pillar 1 regulatory capital requirement. However, capital for other material risks will not be added to the regulatory capital requirement. We will review this approach towards the end of 2008 or early in 2009 in the light of experience with Basel II implementation. 5 The Pillar 2 framework envisages that the supervisor will impose an additional regulatory requirement if not satisfied that a bank s capital determined under Pillar 1 is adequate. The Reserve Bank has decided to impose a standard Pillar 2 capital addon for credit risk, on banks that are accredited to use their own internal credit risk models. Such banks will be required to hold additional capital equal to 15% of the Pillar 1 capital they have modelled for the credit risk arising from residential mortgage lending. This is to reflect the current state of development of those models, and will also be subject to review. If we decide in the longer run to include a bank s own internal capital allocated to other (non-pillar 1) material risks within its regulatory capital requirement, that would also form part of the supervisor-imposed Pillar 2 capital add-on. 6 We have consulted on proposed new disclosure requirements to reflect the introduction of Basel II, and are revising those proposals in the light of comments received. Our intention remains that banks will disclose the amount of capital they have allocated to other material risks, together with a summary of what those risks are. But in a change from the original proposal, this disclosure will be separate from the disclosure of the summary components of the regulatory capital requirement. On the other hand, the latter will include a supervisory add-on component where applicable: for banks using internal models, this will include the 15% add-on for
2 2 housing, plus any additional capital needed to take the total capital requirement up to the Basel II floor of 90% of the Basel I capital requirement. 7 In our original Pillar 2 proposals, the requirements on New Zealand-incorporated banks to have an ICAAP in place and to determine capital for other material risks were included within the appropriate Capital Adequacy Framework document (either Standardised Approach (BS2A), or Internal Models Based Approaches (BS2B)). Consistent with the revised approach, we will now impose these requirements directly via banks conditions of registration instead. 8 We have finalised the Handbook document Guidelines on a Bank s Internal Capital Adequacy Assessment Process ( ICAAP ) (BS12). In doing so, we have made no changes to the substance of the guidance, but have changed the introduction to reflect the revised linkages. Summary of feedback and RBNZ responses Concerns about the status of Pillar 2 capital 9 As noted above, there were a number of concerns around the proposal to make banks internal capital allocation for other material risks part of the regulatory requirement. These are summarised below. We believe these concerns will be largely addressed by the revised approach. Divergence of outcomes 10 One commenter noted that the proposed treatment would penalise banks that have committed time and resources to ensure that their internal capital models have comprehensive cover of the full range of risks, and would also penalise those banks that take a more conservative approach to individual risks. 11 Another commenter raised two concerns about public perceptions. First, as banks develop their approaches to estimating capital for other risks, the numbers may be somewhat volatile, which could give a false impression of rapidly changing risk profiles. Secondly, if the Reserve Bank imposes a transitional capital floor on top of the total of Pillar 1 capital plus the capital for other risks, that might be seen as a penalty on banks that have not come up with large enough other risk numbers. 12 We believe that switching to a disclosure-only approach to capital for other material risks will mean that it no longer penalises banks that take a more conservative view of the risks. Also, the size of any regulatory over-ride will be independent of the bank s other risk capital allocation. There is still the likelihood of divergence between banks in the numbers disclosed, and some volatility of the numbers over time, and these will be apparent from the disclosure. But the benefit of this transparency is that it should add to the incentives for banks to improve their approaches. Harmonisation with other regulators 13 One commenter suggested that the RBNZ should align its Pillar 2 approach more closely with those of other regulators (particularly APRA), because differences will likely result in additional complexity and cost to foreign-owned New Zealand banks.
3 3 14 We believe that our revised approach brings us closer to what other regulators are doing, which amounts to a more gradual introduction of the Pillar 2 philosophy. Other regulators are generally expecting banks to improve their ICAAPs over time, but on initial Basel II implementation they are imposing their own regulatory capital add-ons to the Pillar 1 numbers. A bank s own assessments of non-pillar 1 capital does not translate directly into a regulatory capital number, but is taken account of by the regulator in its review of a bank s overall capital adequacy. At least some regulators have indicated that over time as they become more comfortable with Pillar 1 models and Pillar 2 approaches, they will place increasing reliance on banks own overall capital assessments. 15 The key remaining difference in our approach is that we are still expecting banks to disclose their non-pillar 1 capital estimates. This will subject banks developing Pillar 2 approaches to market discipline, consistent with the particular emphasis we place on that. But our approach should now fit better with how other regulators approaches are likely to evolve, addressing at least some of the concerns about cost and complexity. Desire for reassurance about the number 16 On the basis that the other material risks figure was to have formal status, respondents suggested various ways to improve the quality and cross-bank consistency of the number. One bank suggested that there should be a requirement on banks to subject their Pillar 2 numbers to independent review, and also sought one-onone assessments by the Reserve Bank to deal with the problem of short-term variability in the numbers. There were several other requests for greater clarity on specific aspects of ICAAPs, discussed below. 17 We believe that the revised approach by and large addresses these concerns. One precondition for our including banks internal capital estimates for other material risks within regulatory capital will be that both we and the banks have become sufficiently comfortable with banks ICAAPs and the numbers they deliver. As discussed further below, that will involve continuing dialogue between the Reserve Bank and the banks. We do not think that it is necessary to require independent review of the Pillar 2 numbers for the purpose of disclosure only, but will see in the light of experience whether it is desirable to do so if the numbers eventually become part of regulatory capital. Only total capital, not Tier 1, for Pillar 2 risks 18 There was a suggestion that the other material risks capital should only be included in the total capital ratio test, not in the Tier 1 capital ratio test. 19 We note that under our revised approach, we are not including other material risks in either the total or the Tier 1 capital requirement. 20 However, looking ahead to a time when we might do that, the aim of this suggestion appears to be that a bank should in practice be able to meet additional capital requirements that arise from less reliable risk estimates by raising lower quality Tier 2 capital. Our response is that by the time we are comfortable with imposing a regulatory requirement for other material risks, the numbers should be of adequate quality to be given equal status with Pillar 1 requirements: a risk is a risk, and should be covered by adequate Tier 1 capital as well as adequate total capital.
4 Requests for further guidance/ clarification RBNZ review of banks overall capital adequacy 4 21 One respondent asked us how we intend to review banks approaches and outcomes to Pillar 2 overall capital adequacy. The following sets out our initial intentions. 22 We place considerable emphasis on self-discipline in our approach to Pillar 2. A bank has primary responsibility for its own ICAAP, with the RBNZ having a reactive rather than pro-active role. That is, we think that it is important that we do not micro-manage banks approaches, and will only override the capital numbers coming out of a bank s ICAAP, and/or require improvements in its ICAAP framework, if we have material concerns about either. 23 The information we would receive as a matter of course would be that required by the disclosure total capital held against other material risks, what those risks are, and a summary description of the bank s ICAAP. We would also expect to discuss the approach in routine prudential meetings. We would decide on this basis whether we needed further information. 24 However, as noted earlier, we are planning to review our Pillar 2 approach in late 2008 or early 2009, including considering whether internally-assessed elements should be included in binding regulatory capital requirements. That does imply continuing dialogue between the banks and the RBNZ in the interim. We are not planning a formal accreditation process as for Pillar 1, but we will be happy to consider issues that banks raise with us. Which confidence levels to use 25 Two banks have indicated that they are working to a 99.97% confidence level in developing their internal capital assessment. This compares to the 99.90% confidence level which underlies the Pillar 1 regulatory capital requirements. The question is thus whether a bank in this case can recalibrate its capital for other material risks to a 99.90% confidence level for the purpose of calculating regulatory capital, as it would otherwise be holding capital to a higher confidence level against other material risks than against Pillar 1 risks. 26 In the ICAAP guidance we say that banks should use at least the Pillar 1 confidence level in working out their Pillar 2 capital. If banks own capital estimates become part of regulatory capital in due course, we will consider further whether we should impose any additional conditions at that point. 27 While those capital estimates are only being disclosed, transparency is the key: we are proposing some qualitative disclosure requirements concerning a bank s ICAAP, and within that we would expect a bank to say what confidence level it targets for internal capital purposes. A bank should also say whether its disclosed material other risks figure is recalibrated for comparability with the Pillar 1 numbers. Inter-risk diversification 28 Some banks have indicated that they intend to take inter-risk diversification into account in their ICAAPs.
5 5 29 We are not convinced that industry-wide estimates of stressed cross-risk correlations are robust enough yet to be reflected in regulatory capital requirements. We will keep this issue under review, but at the moment, it seems quite unlikely that there will be sufficiently reliable new data to convince us that cross-risk diversification benefits can be allowed for in total regulatory capital, if and when other components of banks internal capital estimates are included. 30 Under the disclosure-only approach, we encourage banks to take a cautious approach to any diversification offsets they estimate and disclose. As with confidence levels, transparency is key. The nature of any risk diversification offset should be covered in the summary disclosure of risk management; and if the other material risks number is net of a diversification benefit, that should be clearly listed as one of the components of the number. 31 We note that a bank may have an issue of presentation to handle, if it discloses capital for other material risks that is net of diversification benefit, and we later decide that those numbers should become part of regulatory capital with no allowance for diversification. Clarification sought on some aspects of ICAAP 32 One commenter sought greater certainty on the following three aspects of an ICAAP: (a) (b) (c) Planning horizon: is a 3-year horizon for capital planning long enough to meet the RBNZ s expectations? Nature of ICAAP documentation: can the RBNZ provide a format for ICAAP documentation? Parameterisation of stress scenarios: can the RBNZ provide more guidance on the appropriate levels of parameters to feed in to stress scenarios? 33 Other comments focused on the uncertainty surrounding which risks banks should allocate capital to. 34 We have not added any additional guidance on these matters in finalising the BS12 ICAAP guidelines. We note that a key principle in the guidelines is proportionality, which means that what is appropriate varies from bank to bank. However, we will be prepared to consider banks proposed approaches and give individual feedback, for instance on whether any aspect looks far out of line. We will also keep under review the question of whether any aspects of ICAAP need more detailed guidance, in the light of experience with banks approaches. Other comment Interest Rate Risk in the Banking Book (IRRBB) 35 One commenter felt that it would be better to leave banks to determine their capital allocation for IRRBB internally, rather than specifying the regulatory capital requirement for it within Pillar We note that IRRBB has until now been included in the measure of market risk for disclosure purposes, and that as an interim step we propose to use that same measure to set the market risk capital requirement. We are reviewing the Pillar 1 requirement for market risk over the next year, and within that review we will consider the most suitable treatment of IRRBB.
Summary of RBNZ response to submissions on the draft capital adequacy framework (internal models based approach)(bs2b)
Summary of RBNZ response to submissions on the draft capital adequacy framework (internal models based approach)(bs2b) In September 2007 the Reserve Bank of New Zealand released the draft document: Capital
More informationPillar 3 report Table of contents
December 2017 Table of contents Structure of Pillar 3 report Executive summary 3 Introduction 4 Group structure 5 Capital overview 7 Leverage ratio 10 Credit risk exposures 11 Securitisation 15 Appendix
More informationThe Basel Core Principles for Effective Banking Supervision & The Basel Capital Accords
The Basel Core Principles for Effective Banking Supervision & The Basel Capital Accords Basel Committee on Banking Supervision ( BCBS ) (www.bis.org: bcbs230 September 2012) Basel Committee on Banking
More informationBox C The Regulatory Capital Framework for Residential Mortgages
Box C The Regulatory Capital Framework for Residential Mortgages Simply put, a bank s capital represents its ability to absorb losses. To promote banking system resilience, regulators specify the minimum
More informationFor personal use only
Table of contents Structure of Executive summary 3 Introduction 4 Group structure 5 Capital overview 7 Leverage ratio 10 Credit risk exposures 11 Securitisation 15 Appendix Appendix I APS330 Quantitative
More informationConsultation Paper: Basel II solo capital ratios for IRB/AMA banks
Consultation Paper: Basel II solo capital ratios for IRB/AMA banks The Reserve Bank invites submissions on this Consultation Paper by 20 June 2012. Submissions and enquiries about the consultation should
More informationBasel II Pillar years of banking on Australia s future. Capital Adequacy and risk disclosures Quarterly update as at 31 MARCH 2012
100 years of banking on Australia s future Basel II Pillar 3 Capital Adequacy and risk disclosures Quarterly update as at 31 MARCH 2012 Commonwealth bank of Australia ACN 123 123 124 Commonwealth Bank
More informationUBS AG, Mumbai Branch (Scheduled Commercial Bank) (Incorporated in Switzerland with limited liability)
Basel II Pillar 3 Disclosures for the period ended 31 March 2010 Contents 1. Background 2. Scope of Application 3. Capital Structure 4. Capital Adequacy- Capital requirement for credit, market and operational
More informationCapital management and planning
92 Capital management and planning Objective The Board of Directors (Board) is responsible for setting our capital management objective, which is to maintain a strong capital position consistent with regulatory
More informationBasel III Pillar 3. Capital Adequacy and Risks Disclosures as at 31 December 2016
Basel III Pillar 3 Capital Adequacy and Risks Disclosures as at 31 December 2016 COMMONWEALTH BANK OF AUSTRALIA ACN 123 123 124 15 FEBRUARY 2017 This page has been intentionally left blank Table of Contents
More informationBasel Committee on Banking Supervision. Consultative Document. Pillar 2 (Supervisory Review Process)
Basel Committee on Banking Supervision Consultative Document Pillar 2 (Supervisory Review Process) Supporting Document to the New Basel Capital Accord Issued for comment by 31 May 2001 January 2001 Table
More informationINTERNAL CAPITAL ADEQUACY ASSESSMENT MARCH 31, 2010
INTERNAL CAPITAL ADEQUACY ASSESSMENT MARCH 31, 2010 Contents Page 1. Introduction... 3 2. Internal capital adequacy assessment process (ICAAP)... 4 2.1 Capital management framework... 4 2.2. The ICAAP
More informationBasel III Pillar 3. Capital adequacy and risk disclosures Quarterly Update as at 31 March 2013
Basel III Pillar 3 Capital adequacy and risk disclosures Quarterly Update as at 31 March 2013 COMMONWEALTH BANK OF AUSTRALIA ACN 123 123 124 15 May 2013 Basel III Pillar 3 Capital Adequacy and Risk Disclosures
More informationBasel II Briefing: Pillar 2 Preparations. Considerations on Pillar 2 for Subsidiary Banks
Basel II Briefing: Pillar 2 Preparations Considerations on Pillar 2 for Subsidiary Banks November 2006 Preamble Those studying this document should be aware that because of the nature of the technical
More informationAPRA BASEL III PILLAR 3 DISCLOSURES
APRA BASEL III PILLAR 3 DISCLOSURES QUARTER ENDED 31 MAY 2017 1 26 July 2017 This report has been prepared by Bank of Queensland Limited (Bank or BOQ) to meet its disclosure requirements under the Australian
More information19 March Georgette Nicholas Chief Executive Officer and Managing Director Genworth Mortgage Insurance Australia Limited
19 March 2018 Ian Woolford Manager, Financial Policy Prudential Supervision Department Reserve Bank of New Zealand PO Box 2498 Wellington 6140 New Zealand Genworth Financial Mortgage Insurance Pty Ltd
More informationSUPERVISORY POLICY STATEMENT (Class 1(1) and Class 1(2))
SUPERVISORY POLICY STATEMENT (Class 1(1) and Class 1(2)) Domestic Systemically Important Banks June 2017 Page 1 of 23 Contents 1. Introduction 4 1.1 Background 4 1.2 Legal basis 5 2. Overview of IOM D-SIB
More informationBasel III Pillar 3. Capital Adequacy and Risks Disclosures as at 31 December 2017
Basel III Pillar 3 Capital Adequacy and Risks Disclosures as at 31 December 2017 Commonwealth Bank of Australia ACN 123 123 124 7 February 2018 Images Mastercard is a registered trademark and the circles
More informationBasel II Pillar 3. Capital Adequacy and Risk Disclosures QUARTERLY UPDATE As at 31 March 2011
Determined to be better than we ve ever been. Basel II Pillar 3 Capital Adequacy and Risk Disclosures QUARTERLY UPDATE As at 31 March 2011 Commonwealth bank of Australia ACN 123 123 124 Commonwealth Bank
More informationBasel II: Application requirements for New Zealand banks seeking accreditation to implement the Basel II internal models approaches from January 2008
Basel II: Application requirements for New Zealand banks seeking accreditation to implement the Basel II internal models approaches from January 2008 Reserve Bank of New Zealand March 2006 2 OVERVIEW A
More informationBasel II Pillar 3. Capital Adequacy and Risk Disclosures. QUARTERLY UPDATE AS AT 30 September 2011
Determined to be better than we ve ever been. Basel II Pillar 3 Capital Adequacy and Risk Disclosures QUARTERLY UPDATE AS AT 30 September 2011 Commonwealth bank of Australia ACN 123 123 124 Commonwealth
More informationBasel II and Financial Stability: Singapore s Experience
Basel II and Financial Stability: Singapore s Experience Bank Indonesia Seminar on Financial Stability 22 September 2006 Chia Der Jiun Executive Director, Prudential Policy Monetary Authority of Singapore
More informationFor personal use only
December 2016 Table of contents Structure of Executive summary 3 Introduction 5 Group structure 6 Capital overview 8 Leverage ratio 11 Credit risk exposures 12 Securitisation 16 Appendix Appendix I APS330
More informationV Leeladhar: India s preparedness for Basel II implementation
V Leeladhar: India s preparedness for Basel II implementation Address by Mr V Leeladhar, Deputy Governor of the Reserve Bank of India, at the panel discussion during the FICCI-IBA Conference on Global
More informationBASEL II PILLAR 3 DISCLOSURE
2011 BASEL II PILLAR 3 DISCLOSURE YEAR ENDED 30 SEPTEMBER 2011 APS 330: CAPITAL ADEQUACY & RISK MANAGEMENT IN ANZ Important Notice This document has been prepared by Australia and New Zealand Banking Group
More informationBERMUDA MONETARY AUTHORITY GUIDELINES ON STRESS TESTING FOR THE BERMUDA BANKING SECTOR
GUIDELINES ON STRESS TESTING FOR THE BERMUDA BANKING SECTOR TABLE OF CONTENTS 1. EXECUTIVE SUMMARY...2 2. GUIDANCE ON STRESS TESTING AND SCENARIO ANALYSIS...3 3. RISK APPETITE...6 4. MANAGEMENT ACTION...6
More informationINTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS GUIDELINE. Nepal Rastra Bank Bank Supervision Department. August 2012 (updated July 2013)
INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS GUIDELINE Nepal Rastra Bank Bank Supervision Department August 2012 (updated July 2013) Table of Contents Page No. 1. Introduction 1 2. Internal Capital Adequacy
More informationSupervisory Formula Method (SFM) and Significant Risk Transfer (SRT)
Financial Services Authority Finalised guidance Supervisory Formula Method and Significant Risk Transfer September 2011 Supervisory Formula Method (SFM) and Significant Risk Transfer (SRT) Introduction
More informationAPRA Basel III Pillar 3 Disclosures
APRA Basel III Pillar 3 Disclosures Quarter ended 31 May 2018 24 July 2018 This report has been prepared by Bank of Queensland Limited (Bank or BOQ) to meet its disclosure requirements under the Australian
More informationBERMUDA MONETARY AUTHORITY DISCUSSION PAPER ON THE OWN RISK AND SOLVENCY ASSESSMENT PROCESS
DISCUSSION PAPER ON THE OWN RISK AND SOLVENCY ASSESSMENT PROCESS Table of Contents FOREWORD... 2 0. PURPOSE AND EXECUTIVE SUMMARY... 3 1. INTRODUCTION... 5 Bermuda Regulatory Developments... 5 Relationship
More information2016 Pillar 3 Report. Incorporating the requirements of APS 330 First Quarter Update as at 31 December 2015
Pillar 3 Report Incorporating the requirements of APS 330 First Quarter Update as at 31 December 2015 This page has been left blank intentionally first quarter pillar 3 report 1. Introduction National
More informationEBF response to the EBA consultation on prudent valuation
D2380F-2012 Brussels, 11 January 2013 Set up in 1960, the European Banking Federation is the voice of the European banking sector (European Union & European Free Trade Association countries). The EBF represents
More informationConsultation Paper: Review of bank capital adequacy requirements for housing loans and internal models processes
Consultation Paper: Review of bank capital adequacy requirements for housing loans and internal models processes The Reserve Bank invites submissions on this Consultation Paper by 25 October 2013. Submissions
More informationRefining the PRA s Pillar 2 capital framework
A response by the British Bankers Association to the PRA s consultation paper CP3/17 on Refining the PRA s Pillar 2 capital framework May 2017 The BBA is the leading association for UK banking and financial
More informationBasel II Pillar 3. Capital Adequacy and Risk Disclosures. Determined to offer strength in uncertain times. as at 30 June 2009
Determined to offer strength in uncertain times. Basel II Pillar 3 Capital Adequacy and Risk Disclosures as at 30 June 2009 Commonwealth Bank of Australia ACN 123 123 124 Table of Contents 1. Introduction...
More informationAssessing capital adequacy under Pillar 2
Policy Statement PS17/15 Assessing capital adequacy under Pillar 2 July 2015 (Updated August 2015) Prudential Regulation Authority 20 Moorgate London EC2R 6DA Prudential Regulation Authority, registered
More informationPillar 3 report Table of contents
December Table of contents Structure of Executive summary 3 Introduction 5 Group structure 6 Capital overview 8 Leverage ratio 11 Credit risk exposures 12 Securitisation 16 Liquidity coverage ratio 19
More informationResponse to submissions received on proposed implementation of Basel III capital adequacy requirements in New Zealand.
Response to submissions received on proposed implementation of Basel III capital adequacy requirements in New Zealand. September 2012 This document sets out the to the main issues raised in submissions
More informationFinal Report. Guidelines on the management of interest rate risk arising from non-trading book activities EBA/GL/2018/02.
EBA/GL/2018/02 19 July 2018 Final Report Guidelines on the management of interest rate risk arising from non-trading book activities Contents 1. Executive summary 3 2. Background and rationale 5 3. Guidelines
More informationPillar 3 report. Table of Contents. Introduction 1. Scope of Application 2. Capital 3. Credit Risk Exposures 4. Credit Provision and Losses 6
Pillar 3 report Table of Contents Section 1 Introduction 1 Section 2 Scope of Application 2 Section 3 Capital 3 Section 4 Credit Risk Exposures 4 Section 5 Credit Provision and Losses 6 Section 6 Securitisation
More informationEBF Response to BCBS Consultative Document (CD) on Interest rate Risk in the Banking Book (IRRBB)
EBF_016518 8 th September 2015 EBF Response to BCBS Consultative Document (CD) on Interest rate Risk in the Banking Book (IRRBB) The European Banking Federation (EBF) is the voice of the European banking
More informationNew package of banking reforms
REGULATION New package of banking reforms Regulation & Public Policies The European Commission has presented today a new legislative package aimed at amending both the current banking prudential and resolution
More informationRegulatory treatment of accounting provisions
BBA response to the Basel Committee s proposal for the Regulatory treatment of accounting provisions January 2017 Introduction The British Banker s Association (BBA) is pleased to respond to the Basel
More informationThe future of life insurance, Solvency II and investment strategies
KEYNOTE SPEECH Gabriel Bernardino Chairman of EIOPA The future of life insurance, Solvency II and investment strategies 11 th Handelsblatt Annual Conference Solvency II Munich, 15 July 2014 Page 2 of 9
More informationA response to the Prudential Regulation Authority s Consultation Paper CP29/16. Residential mortgage risk weights. October 2016
Prudential Regulation Authority 20 Moorgate London EC2R 6DA 31 October 2016 A response to the Prudential Regulation Authority s Consultation Paper CP29/16 Introduction Residential mortgage risk weights
More information2016 PILLAR 3 REPORT. Incorporating the requirements of APS 330 Third Quarter Update as at 30 June 2016
PILLAR 3 REPORT Incorporating the requirements of APS 330 Third Quarter Update as at 30 June This page has been left blank intentionally third quarter pillar 3 report 1. Introduction third quarter pillar
More information1. Introduction Process for determining the solvency need Definitions of main risk types... 9
Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1 The basis for capital management...4 2.2 Risk identification...5 2.3 Danske Bank s internal assessment of its solvency
More informationCommonwealth Bank of Australia ACN
Commonwealth of Australia Basel II Pillar 3 - Capital Adequacy and Risk Disclosures Quarterly update as at 3 March 00. Scope of application The Commonwealth of Australia (the Group) is an Authorised Deposit-taking
More informationBasel 4: The way ahead
Basel 4: The way Piecing the jigsaw together May 2018 The way 2 Contents 01 Introduction 01 / Introduction 02 02 / Implications for banks 03 03 / Banks strategic options 06 04 / Missing pieces of the jigsaw
More informationBasel II Pillar 3. Capital Adequacy and Risk Disclosures as at 31 December Determined to be better than we ve ever been.
Determined to be better than we ve ever been. Basel II Pillar 3 Capital Adequacy and Risk Disclosures as at 31 December 2010 Commonwealth bank of Australia ACN 123 123 124 Table of Contents 1 Introduction
More informationBANK STRUCTURAL REFORM POSITION OF THE EUROSYSTEM ON THE COMMISSION S CONSULTATION DOCUMENT
24 January 2013 BANK STRUCTURAL REFORM POSITION OF THE EUROSYSTEM ON THE COMMISSION S CONSULTATION DOCUMENT This document provides the Eurosystem s reply to the Consultation Document by the European Commission
More informationBasel III Pillar III DISCLOSURES REPORT
Basel III Pillar III DISCLOSURES REPORT Pillar III Disclosures Report December 31st 2016 ARESBANK PILAR III DISCLOSURES (December 31 st, 2016) TABLE OF CONTENTS 1. INTRODUCTION... 3 2. INTERNAL GOVERNANCE
More informationRisk Based Capital in Banking (Basel II) APRIA Conference
Risk Based Capital in Banking (Basel II) APRIA Conference Dirk McLiesh General Manager Group Risk, Westpac July 7 th, 2008 Contents What is Basel II? What Basel II means for risk based capital at Westpac
More informationThe Solvency II project and the work of CEIOPS
Thomas Steffen CEIOPS Chairman Budapest, 16 May 07 The Solvency II project and the work of CEIOPS Outline Reasons for a change in the insurance EU regulatory framework The Solvency II project Drivers Process
More informationDARLINGTON BUILDING SOCIETY CAPITAL REQUIREMENTS DIRECTIVE
DARLINGTON BUILDING SOCIETY CAPITAL REQUIREMENTS DIRECTIVE PILLAR 3 DISCLOSURE DOCUMENT AS AT 31 st DECEMBER 2017 Contents 1 Introduction 2 Risk Management 3 Capital 4 Credit Risk (Mortgages) 5 Provisions
More informationPillar 3 Disclosure November 2016
Pillar 3 Disclosure November 2016 1 1. Overview 1.1 Background This document comprises the Capital and Risk Management Pillar 3 disclosures as at 30 September 2016 for River and Mercantile Group PLC and
More informationInternational Monetary Fund Washington, D.C.
2010 International Monetary Fund May 2010 IMF Country Report No. 10/124 United States: Publication of Financial Sector Assessment Program Documentation Technical Note on Basel II Implementation Preparedness
More informationBasel Committee on Banking Supervision. Sensitive Approaches for Equity Exposures in the Banking Book for IRB Banks
Basel Committee on Banking Supervision Paper on Risk Sensitive Approaches for Equity Exposures in the Banking Book for IRB Banks August 2001!Working Table of Contents Introduction...1 Scope - definitions
More informationBASEL II PILLAR 3 DISCLOSURE
2012 BASEL II PILLAR 3 DISCLOSURE HALF YEAR ENDED 31 MARCH 2012 APS 330: CAPITAL ADEQUACY & RISK MANAGEMENT IN ANZ Important notice This document has been prepared by Australia and New Zealand Banking
More informationBCBS Standard for Interest Rate Risk in the Banking Book Objectives, Approaches and Disclosure
BCBS Standard for Interest Rate Risk in the Banking Book Objectives, Approaches and Disclosure Meeting on IRRBB and the Revised Standardised Approach for Credit Risk Sao Paulo, Brazil 27-28 April 2016
More informationChristian Noyer: Basel II new challenges
Christian Noyer: Basel II new challenges Speech by Mr Christian Noyer, Governor of the Bank of France, before the Bank of Algeria and the Algerian financial community, Algiers, 16 December 2007. * * *
More informationInterest Rate Risk in the Banking Book. Taking a close look at the latest IRRBB developments
Interest Rate Risk in the Banking Book Taking a close look at the latest IRRBB developments Interest Rate Risk in the Banking Book Interest rate risk in the banking book (IRRBB) can be a significant risk
More informationInternational Trends in Regulatory Capital & Target Surplus. Caroline Bennet - Trowbridge Deloitte Jennifer Lang - CBA
International Trends in Regulatory Capital & Target Surplus Caroline Bennet - Trowbridge Deloitte Jennifer Lang - CBA Agenda Review of Capital Framework International Trends in Regulatory Capital Target
More informationcomplex and illiquid instruments or concentrated positions. The EBA
10 January 2013 EBA Via e-mail: EBA-DP-2012-03@eba.europa.eu Dear Sir/Madam Response to the EBA Discussion Paper on Draft Regulatory Technical Standards on Prudent Valuation under Article 100 of the Draft
More information1. Introduction Process for determining the solvency need The basis for capital management Risk identification...
Contents Page 1. Introduction...3 2. Process for determining the solvency need...4 2.1 The basis for capital management...4 2.2 Risk identification...4 2.3 Danske Bank s internal assessment of its solvency
More informationINTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS
Guidance Paper No. 2.2.6 INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS GUIDANCE PAPER ON ENTERPRISE RISK MANAGEMENT FOR CAPITAL ADEQUACY AND SOLVENCY PURPOSES OCTOBER 2007 This document was prepared
More informationPolicy Statement PS21/17 UK leverage ratio: treatment of claims on central banks. October 2017
Policy Statement PS21/17 UK leverage ratio: treatment of claims on central banks October 2017 Prudential Regulation Authority 20 Moorgate London EC2R 6DA Policy Statement PS21/17 UK leverage ratio: treatment
More informationGuidelines on the treatment of CVA risk under the supervisory review and evaluation process (SREP) 27 January 2016 Public Hearing, London
Guidelines on the treatment of CVA risk under the supervisory review and evaluation process (SREP) 27 January 2016 Public Hearing, London Outline 1. Background 2. General rationale of Pillar 2 approach
More informationPILLAR 3 REPORT WESTPAC GROUP. Incorporating the requirements of Australian Prudential Standard APS 330
WESTPAC GROUP PILLAR 3 REPORT Incorporating the requirements of Australian Prudential Standard APS 330 Westpac Banking Corporation ABN 33 007 457 141. TABLE OF CONTENTS EXECUTIVE SUMMARY 3 INTRODUCTION
More informationGuideline. Capital Adequacy Requirements (CAR) Chapter 8 Operational Risk. Effective Date: November 2016 / January
Guideline Subject: Capital Adequacy Requirements (CAR) Chapter 8 Effective Date: November 2016 / January 2017 1 The Capital Adequacy Requirements (CAR) for banks (including federal credit unions), bank
More informationECB Guide to the internal liquidity adequacy assessment process (ILAAP)
ECB Guide to the internal liquidity adequacy assessment process (ILAAP) March 2018 Contents 1 Introduction 2 1.1 Purpose 3 1.2 Scope and proportionality 3 2 Principles 5 Principle 1 The management body
More informationTD BANK INTERNATIONAL S.A.
TD BANK INTERNATIONAL S.A. Pillar 3 Disclosures Year Ended October 31, 2013 1 Contents 1. Overview... 3 1.1 Purpose...3 1.2 Frequency and Location...3 2. Governance and Risk Management Framework... 4 2.1
More informationCapital & Risk Management Pillar 3 Disclosures
Capital & Risk Management Pillar 3 Disclosures 31st December 2017 Company Registration no. 06736473 Contents Introduction...3 Activities and Scope...3 Regulatory framework for disclosures...4 Basis and
More informationNotification of the Bank of Thailand No. FPG. 12/2555 Re: Regulations on Supervision of Capital for Commercial Banks
Unofficial Translation This translation is for the convenience of those unfamiliar with the Thai language Please refer to Thai text for the official version -------------------------------------- 1. Rationale
More informationBasel II Pillar 3 Capital Adequacy and Risk Disclosures. Determined to be better than we ve ever been. as at 31 December 2009
Determined to be better than we ve ever been. Basel II Pillar 3 Capital Adequacy and Risk Disclosures as at 3 December 2009 Commonwealth Bank of Australia Table of Contents Introduction... 2 Scope of
More informationPillar 3 report Table of contents
Table of contents Structure of Pillar 3 report Executive summary 3 Introduction 6 Risk appetite and risk types 7 Controlling and managing risk 8 Group structure 14 Capital overview 15 Leverage ratio disclosure
More informationCEIOPS-DOC-06/06. November 2006
CEIOPS-DOC-06/06 Advice to the European Commission in the framework of the Solvency II project on insurance undertakings Internal Risk and Capital Assessment requirements, supervisors evaluation procedures
More informationPILLAR3 AS AT31MARCH 2016
BASEL I PILLAR3 CAPITALADEQUACY AND RISKS DISCLOSURES AS AT31MARCH 2016 COMMONWEALTH BANK OFAUSTRALIA ACN 123123124 9MAY2016 This page has been intentionally left blank Table of Contents 1 Introduction
More informationRegulatory Impact Assessment RBNZ Liquidity requirements for locally incorporated banks
Regulatory Impact Assessment RBNZ Liquidity requirements for locally incorporated banks Executive summary 1 A strong liquidity profile across banks is important for the maintenance of a sound and efficient
More informationBalancing Market Principles Statement Terms of Reference Scoping Document. Energy Trading Arrangements Rules Working Group 5
Balancing Market Principles Statement Terms of Reference Scoping Document Energy Trading Arrangements Rules Working Group 5 RA Project Team Discussion Document 11 February 2016 INTRODUCTION This document
More informationImplementation of Basel II
BASEL COMMITTEE ON BANKING SUPERVISION Implementation of Basel II Presentation to the IIF Asian CEO Summit Singapore, 14 September 2007 José María Roldán 1. Why Basel II? Innovation in financial markets
More informationREQUEST TO EIOPA FOR TECHNICAL ADVICE ON THE REVIEW OF THE SOLVENCY II DIRECTIVE (DIRECTIVE 2009/138/EC)
Ref. Ares(2019)782244-11/02/2019 REQUEST TO EIOPA FOR TECHNICAL ADVICE ON THE REVIEW OF THE SOLVENCY II DIRECTIVE (DIRECTIVE 2009/138/EC) With this mandate to EIOPA, the Commission seeks EIOPA's Technical
More informationEBF COMMENTS ON THE EBA CONSULTATION PAPER ON DRAFT IMPLEMENTING TECHNICAL STANDARDS ON DISCLOSURE FOR OWN FUNDS BY INSTITUTIONS
EBF Ref.: D1335F-2012 Brussels, 31 July 2012 Set up in 1960, the European Banking Federation is the voice of the European banking sector (European Union & European Free Trade Association countries). The
More informationPrudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs)
Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs) Objective and key requirements of this Prudential Standard This Prudential Standard sets out the requirements
More informationPILLAR 3 REGULATORY DISCLOSURES REPORT AS AT 30 NOVEMBER 2017 LEUCADIA INVESTMENT MANAGEMENT LIMITED
PILLAR 3 REGULATORY DISCLOSURES REPORT AS AT 30 NOVEMBER 2017 LEUCADIA INVESTMENT MANAGEMENT LIMITED CONTENTS 1 OVERVIEW AND BASIS OF PREPARATION OF THE PILLAR 3 DISCLOSURES... 1 1.1 Business Background...
More informationINTERNAL CAPITAL ADEQUACY ASSESSMENT 30 SEPTEMBER 2011
INTERNAL CAPITAL ADEQUACY ASSESSMENT 30 SEPTEMBER 2011 Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1. The basis for capital management...4 2.2. Risk identification...5
More informationPillar 3 Capital adequacy & risk disclosure
Pillar 3 Capital adequacy & risk disclosure 31 March 2018 Table of contents Table 3 Capital adequacy Table 4 Credit risk 3 4 Table 5 Securitisation 5 2 ING Bank (Australia) Limited, trading as ING, is
More informationDARLINGTON BUILDING SOCIETY CAPITAL REQUIREMENTS DIRECTIVE
DARLINGTON BUILDING SOCIETY CAPITAL REQUIREMENTS DIRECTIVE PILLAR 3 DISCLOSURE DOCUMENT AS AT 31 st DECEMBER 2016 CONTENTS Section Title 1 Introduction 2 Risk Management Objectives and Policies 3 Capital
More informationCONSULTATION PAPER ON DRAFT RTS ON TREATMENT OF CLEARING MEMBERS' EXPOSURES TO CLIENTS EBA/CP/2014/ February Consultation Paper
EBA/CP/2014/01 28 February 2014 Consultation Paper Draft regulatory technical standards on the margin periods for risk used for the treatment of clearing members' exposures to clients under Article 304(5)
More informationICAAP Q Saxo Bank A/S Saxo Bank Group
ICAAP Q4 2014 Saxo Bank A/S Saxo Bank Group Contents 1. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 EVENTS AFTER THE REPORTING PERIOD... 3 1.3 BOARD OF MANAGEMENT APPROVAL
More informationPILLAR 3 DISCLOSURE APS 330: PUBLIC DISCLOSURE
2015 BASEL III PILLAR 3 DISCLOSURE AS AT 31 MARCH 2015 APS 330: PUBLIC DISCLOSURE Important notice This document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) to meet its disclosure
More informationDraft Feedback to the consultation on
Annex 3 October 2006 Draft Feedback to the consultation on Technical aspects of the management of interest rate risk arising from non trading activities under the supervisory review process CP11 Introduction
More informationBasel Committee proposals for Strengthening the resilience of the banking sector
Banking and Capital Markets Basel Committee proposals for Strengthening the resilience of the banking sector New rules or new game? 2 PricewaterhouseCoopers On 17 December, the Basel Committee on Banking
More informationBasel III Pillar 3. Capital adequacy and risks disclosures as at 30 June 2013
Basel III Pillar 3 Capital adequacy and risks disclosures as at 30 June 2013 COMMONWEALTH BANK OF AUSTRALIA ACN 123 123 124 14 AUGUST 2013 This page has been intentionally left blank Table of Contents
More informationBasel 2. Kevin Davis Commonwealth Bank Group Chair of Finance Department of Finance The University of Melbourne
Basel 2 Kevin Davis Commonwealth Bank Group Chair of Finance Department of Finance The University of Melbourne Ladies and Gentlemen, Thank you for the opportunity to talk to you on this important topic.
More informationNew EU-wide stress test: Large Danish banks withstand severe economic downturn
In case of discrepancies to the Danish press release, the Danish version prevails Danish Financial Supervisory Authority 2 November 2018 New EU-wide stress test: Large Danish banks withstand severe economic
More informationRisk-oriented banking supervision pursuant to Basel II A German perspective on implementing the SRP
Risk-oriented banking supervision pursuant to Basel II A German perspective on implementing the SRP Peter Spicka Senior Advisor Banking and Financial Supervision Deutsche Bundesbank Centre for Technical
More informationCOPYRIGHTED MATERIAL. Bank executives are in a difficult position. On the one hand their shareholders require an attractive
chapter 1 Bank executives are in a difficult position. On the one hand their shareholders require an attractive return on their investment. On the other hand, banking supervisors require these entities
More informationFor personal use only
National Australia Bank Limited ABN 12 004 044 937 800 Bourke Street Docklands Victoria 3008 AUSTRALIA www.nabgroup.com ASX ANNOUNCEMENT Tuesday, 14 February National Australia Bank Limited First Quarter
More informationCP ON DRAFT RTS ON ASSSESSMENT METHODOLOGY FOR IRB APPROACH EBA/CP/2014/ November Consultation Paper
EBA/CP/2014/36 12 November 2014 Consultation Paper Draft Regulatory Technical Standards On the specification of the assessment methodology for competent authorities regarding compliance of an institution
More information